for a linear programming problem and let Z = ax + by be the objective function. When Z has an optimal value (maximum or minimum), where the variables x and y are subject to constraints described ...

Students will learn the foundations of linear programming, properties of optimal solutions and various solution methods for optimizing problems involving a linear objective function and linear ...

A linear programming problem is one that is concerned ... negative and satisfy a set of linear inequalities (called linear constraints). Variables are sometimes called decision variables and ...

As such, the inverse problem, i.e., the implied volatility problem, becomes an instance of a mathematical problem with equilibrium constraints (MPEC), which is a class of constrained optimization ...